O’Shaughnessy
Enhanced Dividend®

Investment Strategy

Seeks to provide long-term growth and income by investing in stocks with high dividends. First, we screen for stocks with market capitalizations greater than average and exclude Utilities. We then screen for Value, Earnings Quality, and Financial Strength. Stocks are also screened for above average EBITDA/Enterprise Value and Value Composite scores. From the remaining securities, we select stocks with the highest dividend yields.

Lipper Best Managers

Periods ending 3/31/12

U.S. Large-Cap Value Equity
      12 Quarters: 20 out of 197

Product Info

Stock Screening Process

Composite Performance

Annualized Rates* of Return for Periods Ending 3/31/12 (%)


* Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance

Annual Rates of Return (%)


Important Performance Disclosures

Characteristics
Characteristics as of 3/31/12
O'Shaughnessy
Enhanced Dividend
MSCI AC World Index
Russell 1000® Value Index
Holdings Based*



Price/Earnings Ratio
 11.8×
 13.3×
 14.2×
Price/Sales Ratio
 0.8×
 1.0×
 1.1×
Weighted Average Market Capitalization
 $52,583 mil
 $67,625 mil
 $78,967 mil
Median Market Capitalization
 $24,390 mil
 $4,773 mil
 $4,988 mil
Dividend Yield**
 6.7%
 2.7%
 2.5%
Foreign Exposure
 67.2%
 0.1%
 0.0%
Approximate Annual Turnover
 53% (institutional)
48% (non-taxable)
57% (taxable) 		—
 —
Active Share
 95.5% —
 —





Returns Based
(Since Inception – January 1, 2003)

Standard Deviation
 18.0%
 17.0%
 16.0%
Downside Standard Deviation
 3.8%
 3.8%
 3.6%
Sharpe Ratio
 0.51
 0.38
 0.34
Beta1 1.0 1.0 1.0  
Information Ratio1
 0.38
 —
 —
Tracking Error1
 7.2%
 —
 —
Downside Capture1
 94.9%
 100.0%
 100.0%
Upside Capture1
 103.6%
 100.0%
 100.0%

Gross of Fees

* Based on a group of Dynamic Rebalance® representative accounts. Each client account will differ based on start date and regeneration dates. Turnover is based on a backtest over the previous five years.
** The Dividend Yield is the annual percentage of return earned by an investor on a common or preferred stock. The yield is calculated by dividing the amount of dividends paid per share over the past twelve months by the current market price per share of the stock. OSAM utilizes the services of Factset, a third party data provider vendor, to calculate portfolio characteristics and metrics. The dividend yield is a gross indicated yield. There is no guarantee that the rate of dividend payment will continue and the income derived is subject to taxes and expenses which will impact the actual yield experience of each investor.

1 Strategy statistics based on comparison to the MSCI AC World Index.


Important Performance Disclosures

Current Sector Weightings

Sector Distribution as of 3/31/12 (%)


Based on a group of Dynamic Rebalance® representative accounts.

Base Rates

Base Rates as of 3/31/12

Base Rates are batting averages for how often a strategy beats the benchmark over certain rolling time periods.

vs. MSCI AC World Index (Gross of Fees)
Won
Lost
Base Rate
Excess Return
Rolling 1-Year Periods
 71
 25
 74%
 3.9%
Rolling 3-Year Periods
 67
 5
 93%
 3.7%
Rolling 5-Year Periods
 44
 4
 92%
 3.4%
Rolling 7-Year Periods
 24
 0
 100%
 3.6%

vs. Russell 1000® Value Index (Gross of Fees)
Won
Lost
Base Rate
Excess Return
Rolling 1-Year Periods
 69
 27
 72%
 5.6%
Rolling 3-Year Periods
 72
 0
 100%
 5.9%
Rolling 5-Year Periods
 48
 0
 100%
 5.8%
Rolling 7-Year Periods
 24
 0
 100%
 5.4%


Important Performance Disclosures


Performance returns are preliminary. Past performance is no guarantee of future results.
Due to ongoing research, the manager may from time to time adjust the model by changing certain factors or screens which comprise the model without prior notice. OSAM may determine it appropriate to rebalance at times other than the regularly scheduled rebalance without prior notice. Stocks with small and mid–sized market capitalizations (those defined by OSAM as less than $10 billion) may have greater risk and volatility than those with larger market capitalizations.

Style allocations are approximate. They may change over time and vary by account.